Total return swap valuation with counterparty risk and interest rate risk
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Publication:1724070
DOI10.1155/2014/412890zbMath1406.91454OpenAlexW2084491725WikidataQ59037633 ScholiaQ59037633MaRDI QIDQ1724070
Publication date: 14 February 2019
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/412890
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
The total return swap pricing model under fuzzy random environments ⋮ The pricing of total return swap under default contagion models with jump-diffusion interest rate risk
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